Hold down a shift key and right click on the installer program and select "Run as..."
Good idea - but I don't think that the shift key is required! Not for me in XP, at any rate.
It may however be that although you have admin privileges, the group policies set for the domain may stop some things from being possible, i.e. they might give you admin privileges to be able to change network settings, power saving settings etc, but not allow you to install new applications.
But if you have local admin rights you also have the wherewithal to circumvent the group policy - although it does require a good understanding of GP and the registry!
SD